ANNUAL report. BlackRock Investment Funds. For the period from 30 March 2015 (date of launch) to 29 February 2016

Transcription

1 ANNUAL report BlackRock Investment Funds For the period from 30 March 2015 (date of launch) to 29 February 2016 `` BlackRock Dynamic Return Strategy Fund

2 Contents About the Trust About the Trust 2 Accounting and Distribution Policies 3-5 Financial Instruments and Risks 6-16 Dynamic Return Strategy Fund Statement of Manager s and Trustee s Responsibilities 52 Report of the Trustee 52 Independent Auditor s Report General Information 58 BlackRock Investment Funds (the Trust ) is organised as an umbrella unit trust scheme comprising separate sub-funds with segregated liabilities (referred to as a Fund ) contained in this report. The Trust is an authorised unit trust scheme and qualifies as a UCITS scheme under the Financial Conduct Authority s Collective Investment Schemes Sourcebook (the COLL Sourcebook ). The Trust consists of two sub-funds. The BlackRock Dynamic Return Strategy Fund s (the Fund ) report and accounts are presented in this report. The BlackRock Global Long/Short Equity Fund launched on 1 October 2015 and the first annual report and accounts for this Fund will be produced as at 28 February Cross sub-fund holdings within the Trust: As at 29 February 2016 there were no cross sub-fund holdings within the Trust. About the Fund Managers Adam Ryan, Managing Director and portfolio manager, is a member of BlackRock s Multi-Asset Strategies group and is Head of the Diversified Strategies team. Within Diversified Strategies he is lead portfolio manager of the BlackRock Dynamic Diversified Growth Fund. Mr. Ryan s service with the firm dates back to 1999, including his years with Merrill Lynch Investment Managers ( MLIM ), which merged with BlackRock in His background is in fixed income portfolio management where he was Head of Fixed Income for MLIM s Private Client business before developing and managing diversified multi-asset portfolios for both private and institutional clients. Mr. Ryan earned a BA degree with honours in engineering from Cambridge University in Andy Warwick, CFA, Managing Director and portfolio manager, is a member of the Diversified Strategies team within BlackRock s Multi-Asset Strategy group, which is responsible for developing, assembling and managing investment strategies involving multiple asset classes. Within Diversified Strategies he is lead portfolio manager for BlackRock Dynamic Return Strategy Fund and a portfolio manager for BlackRock Dynamic Diversified Growth Fund. Mr. Warwick s service with the firm dates back to 2005, including his years with Merrill Lynch Investment Managers ( MLIM ), which merged with BlackRock in Prior to MLIM he worked with Mako Global Derivatives and Dalton Strategic Partnership from Mr. Warwick initially worked for MLIM from as a manager for MLIM s unit trusts before joining the quantitative and derivatives team as a portfolio manager and equity derivatives head trader in He was subsequently co-portfolio manager of MLIM s first hedge fund, the Mercury Equity Arbitrage Fund. Mr. Warwick earned a MSc in finance from the University of Leicester in Copies of Manager s Reports and Prospectus are available on request. Dealing and Investor Services: blackrock.co.uk 1 BlackRock Investment Funds 2

3 Accounting and Distribution Policies* for the period from 30 March 2015 to 29 February 2016 Accounting Policies (a) The financial statements have been prepared in accordance with the Statement of Recommended Practice for Authorised Funds (the SORP ) issued by the Investment Management Association (now known as the Investment Association) in May Amendments to FRS 102 Fair value hierarchy disclosures effective for annual periods beginning on or after 1 January 2017 have been early adopted. These amendments improve the consistency of fair value disclosures for financial instruments with those required by EU-adopted IFRS. As permitted by Section 6.8.2(5a) of the Financial Conduct Authority s Collective Investment Schemes Sourcebook, the financial statements for the period ended 29 February 2016 have been prepared as at the Fund s valuation point at 12 noon on the last business day of the accounting period. This aligns the valuation point for financial statements purposes with the valuation point used for dealing purposes. (b) Dividends on quoted ordinary shares and preference shares are recognised when the securities are quoted ex-dividend. Where such securities are not quoted, dividends are recognised when they are declared. Revenue from fixed interest securities is recognised on an effective interest rate basis. Accrued interest purchased and sold on interest bearing securities is excluded from the capital cost of these securities and dealt with as part of the revenue of the Fund. All distributions from Collective Investment Schemes ( CIS ) are recognised when the securities are quoted ex-dividend. All distributions from holdings in CIS are treated as revenue with the exception of the equalisation element, which is treated as capital. Any reported revenue from an offshore fund, in excess of any distribution received in the reporting period, is recognised as revenue no later than the date on which the reporting fund makes this information available. The equalisation element is treated as capital. All revenue is recognised as a gross amount that takes account of any withholding taxes but excludes any other taxes such as attributable tax credits. Returns from bond futures are streamed into revenue and capital components. Amounts recognised as revenue from long positions form part of the distribution. Amounts recognised as revenue from short positions reduce the amounts available for distribution. Returns from Total Return Swaps in the form of dividends or interest received from the underlying security or index are recognised as revenue. Capital gains on the underlying security or index are treated as capital. Bank interest is recognised on an accruals basis. The Fund receives Manager s charge rebates from BlackRock related investments in the normal course of business. These are recognised on an accruals basis and are treated as revenue, unless it is the policy of the underlying fund to charge its fees to capital, in which case these rebates will be recognised as capital. (c) Ordinary stock dividends are recognised wholly as revenue and are based on the market value of the shares on the date they are quoted ex-dividend. Where an enhancement is offered, the amount by which the market value of the shares (on the date they are quoted ex-dividend) exceeds the cash dividend is taken to capital. (d) The underlying circumstances behind both special dividends and share buy backs are reviewed on a case by case basis in determining whether the amount is revenue or capital in nature. Amounts recognised as revenue form part of the distribution. Any tax treatment will follow the accounting treatment of the principal amount. (e) Underwriting commission is wholly recognised as revenue when the issue takes place, except where the Fund is required to take up some or all of the shares underwritten, in which case an appropriate proportion of the commission received is deducted from the cost of those shares. (f) All expenses, except those relating to the purchase and sale of investments are charged against revenue. All expenses are recognised on an accruals basis. (g) Provision for corporation tax is made at the current rate on the excess of taxable revenue over allowable expenses. Provision is made on all material timing differences arising from the different treatment of items for accounting and tax purposes. A deferred tax asset is recognised only to the extent that it is considered more likely than not that there will be taxable profits in the future against which the asset can be offset. (h) The investments of the Fund have been valued at market value, defined as fair value, which is usually bid value at 12 noon on the last business day of the accounting period. In the case of an investment which is not quoted, listed or dealt in on a recognised market, or in respect of which a listed, traded or dealt price or quotation is not available at the time of valuation, the fair value of such investment shall be estimated with care and in good faith by a competent professional person, body, firm or corporation including the Manager s pricing committee, and such fair value shall be determined on the basis of the probable realisation value of the investment. The Manager shall be entitled to adopt an alternative method of valuing any particular asset or liability if it considers that the methods of valuation set out above do not provide a fair valuation of a particular asset or liability. For over the counter derivatives (e.g. credit default swaps, interest rate swaps, total return swaps and currency options), market value is determined based on valuation pricing models which take into account relevant market inputs as well as the time values, liquidity and volatility factors underlying the positions. Amounts due to and from an individual counterparty which falls under a legally enforceable master netting agreement are netted. Investments in single priced Collective Investment Schemes have been valued at market values, defined as fair value, which is usually the latest available price at the Fund s 12 noon valuation point on the last business day of the accounting period. (i) Any transactions in foreign currencies are translated into Sterling at the rates of exchange ruling on the date of any such transaction. Assets and liabilities in foreign currencies are translated into Sterling at the exchange rates ruling at 12 noon on the last business day of the accounting period. Revenue items in foreign currencies are translated into Sterling at the exchange rate when the revenue is received. * The Accounting and Distribution Policies are an integral part of the notes to financial statements. 3 BlackRock Investment Funds 4

4 Accounting and Distribution Policies continued Financial Instruments and Risks* (j) Where appropriate, certain permitted financial instruments such as derivatives are used for both hedging and for the purpose of achieving the investment objective and policy of the Fund. Where such financial instruments are used to protect or enhance revenue, the revenue and expenses derived therefrom are included in Revenue in the Statement of Total Return. Where such financial instruments are used to protect or enhance capital, the gains and losses derived therefrom are included in Net capital gains in the Statement of Total Return. Revenue from over the counter derivatives is received in the form of premiums received on written options. Such premiums are recognised as revenue on a straight line basis over the period of the contract, with the balance recognised as capital. If the contract is sold or closed out, the unamortised portion of the premium remains in capital. (k) Cash and bank balances consist of deposits held on call with banks and cash held with clearing brokers and counterparties. Cash equivalents are short-term highly liquid investments that are readily convertible to known amounts of cash and which are subject to an insignificant risk of changes in value. (l) Cash collateral provided by the Fund is identified on the Balance Sheet as pledged cash collateral and is not included as a component of cash and cash equivalents. For collateral other than cash provided by the Fund, the party to whom the collateral is provided has the right by contract to sell or repledge the collateral but has an obligation to return equivalent securities to the Fund on maturity or sale of the contract. The Fund classifies these assets on its Balance Sheet separately from other assets and identifies the asset as pledged investments. Such assets are valued consistently with the accounting policies listed above. Cash collateral provided to the Fund by counterparties is identified in the Balance Sheet as cash collateral payable. The Fund may reinvest this cash collateral and the assets purchased are included in investment assets or cash equivalents on the Balance Sheet. For collateral received from counterparties other than cash, a disclosure of the collateral provided is made in the notes to the financial statements. Distribution Policies (m) The ordinary element of stock dividends is treated as revenue but does not form part of the distribution. (n) The units in the Fund are all accumulation units. All of the net revenue available for distribution at the final accounting period end will be accumulated by the Fund with a transfer from revenue to capital. In order to conduct a controlled dividend flow to unitholders, interim distributions may be made at the Manager s discretion, up to a maximum of the distributable revenue available for the period. Should expenses and taxation together exceed revenue, there will be no distribution and the shortfall will be met from capital. (o) The Fund has satisfied the qualifying investments tests as specified in S468L ICTA 1988 at all times throughout the distribution period. As such, any revenue available for distribution will be paid as an interest distribution. Introduction and overview The Fund s investment activities expose it to the various types of risk which are associated with the financial instruments and markets in which it invests. The following information is not intended to be a comprehensive summary of all risks and investors should refer to the Prospectus for a more detailed discussion of the risks inherent in investing in the Fund. Risk management framework The Manager has delegated the day-to-day administration of the investment programme to the Investment Manager. The Investment Manager is also responsible for ensuring that the Fund is managed within the terms of its investment guidelines and limits set out in the Prospectus. The Manager reserves to itself the investment performance, product risk monitoring and oversight and the responsibility for the monitoring and oversight of regulatory and operational risk for the Fund. The Manager has appointed a risk manager who has responsibility for the daily risk management process with assistance from key risk management personnel of the Investment Manager, including members of the Risk and Quantitative Analysis Group ( RQA Group ) which is a centralised group which performs an independent risk management function. The RQA Group independently identifies, measures and monitors investment risk. The RQA Group tracks the actual risk management practices being deployed across the different funds. By breaking down the components of the process, the RQA Group has the ability to determine if the appropriate risk management processes are in place for the Fund. This captures the risk management tools employed, how the levels of risk are controlled, ensuring risk/return is considered in portfolio construction and reviewing outcomes. The principal risk exposure of the Fund is set out as follows: a) Market risk Market risk arises mainly from uncertainty about future values of financial instruments influenced by other price, currency and interest rate movements. It represents the potential loss the Fund may suffer through holding market positions in the face of market movements. The Fund is exposed to market risk by virtue of its investments in equities, corporate bonds, government bonds, credit default swaps, interest rate swaps, futures contracts, total return swaps, options and forward currency contracts. A key metric the RQA Group uses to measure market risk is VaR which encompasses price, currency and interest rate risk. VaR is a statistical risk measure that estimates the potential portfolio loss from adverse market moves in an ordinary market environment. VaR analysis reflects the interdependencies between risk variables, unlike a traditional sensitivity analysis. The VaR calculations are based on an adjusted historical simulation model with a confidence level of 99%, a holding period of one day and a historical observation period of not less than one year (250 days). A VaR number is defined at a specified probability and a specified time horizon. A 99% one day VaR means that the expectation is that 99% of the time over a one day period the Fund will lose less than this number in percentage terms. Therefore, higher VaR numbers indicate higher risk. * The information relating to Financial Instruments and Risks is an integral part of the notes to financial statements. 5 BlackRock Investment Funds 6

5 Financial Instruments and Risks continued It is noted that the use of the VaR methodology has limitations, namely that the use of historical market data as a basis for estimating future events does not encompass all possible scenarios, particularly those that are of an extreme nature and that the use of a specified confidence level (e.g. 99%) does not take into account losses that occur beyond this level. There is some probability that the loss could be greater than the VaR amounts. These limitations and the nature of the VaR measure mean that the Fund can neither guarantee that losses will not exceed the VaR amounts indicated, nor that losses in excess of the VaR amounts, will not occur more frequently. The one day VaR as at 29 February 2016 based on a 99% confidence level was 0.72%. i) Market risk arising from foreign currency risk Exposure to foreign currency risk Foreign currency risk is the risk that the fair value or future cash flows of a financial instrument will fluctuate because of changes in foreign exchange rates. The Fund may invest in securities which may be denominated in currencies other than its reporting currency. The Fund may also invest in forward currency contracts and thus gain further exposure to foreign currency risk. The table below outlines the Fund s exposure to foreign currency risk as at the Balance Sheet date. Foreign currency exposure Gross Foreign Currency Exposure Forward Currency Contracts Net Foreign Currency Exposure % of Net Assets Australian dollar 847 (713) Brazilian real (2,386) (2,386) (1.11) Canadian dollar 3,673 (3,595) Chinese yuan (2,067) (2,067) (0.96) Czech koruna 2,278 2, Danish krone 2,173 (2,173) 0.00 Euro 41,478 (36,175) 5, Hong Kong dollar (38) (38) (0.02) Hungarian forint (21) (21) (0.01) Indian rupee Japanese yen 38 (5,327) (5,289) (2.47) Malaysian ringgit (7) (7) 0.00 Mexican peso 4,441 4, Philippine peso 6,645 6, Polish zloty (7) (2,176) (2,183) (1.02) Singapore dollar (6,234) (6,234) (2.91) South African rand 161 (1,127) (966) (0.45) South Korean won (3,399) (3,399) (1.59) Swedish krona Swiss franc (10,431) (10,431) (4.87) Taiwan dollar (3,634) (3,634) (1.69) Turkish lira 18 (3,854) (3,836) (1.79) US dollar 73,790 (36,370) 37, Total exposure to foreign currencies 122,112 (105,065) 17, Management of foreign currency risk Foreign currency exposures are managed within parameters utilising forward currency contracts. The details of the contracts in place at the period-end are disclosed in the portfolio statement. ii) Market risk arising from other price risk Exposure to other price risk Other price risk is the risk that the fair value or future cash flows of a financial instrument will fluctuate because of changes in market prices (other than those arising from interest rate risk or currency risk), whether those changes are caused by factors specific to the individual financial instrument or its issuer, or factors affecting similar financial instruments traded in the market. 7 BlackRock Investment Funds 8

6 Financial Instruments and Risks continued The Fund is exposed to other price risk arising from its investments. The exposure of the Fund to other price risk is the market value of the investments held as shown in the portfolio statement of the Fund. Management of other price risk The Investment Manager manages the Fund s other price risk on a daily basis in accordance with the Fund s investment objective. By diversifying the portfolio, where this is appropriate and consistent with the Fund s objectives, the risk that a price change of a particular investment will have a material impact on the net asset value of the Fund is minimised. The investment concentrations within the portfolio are disclosed in the portfolio statement by investment type. The other price risk inherent in holdings in CIS is monitored by the Investment Manager by understanding the investment objectives of the underlying funds as well as their internal control policies and regular risk and performance reporting. iii) Market risk arising from interest rate risk Exposure to interest rate risk Interest rate risk is the risk that the fair value or future cash flows of a financial instrument will fluctuate because of changes in market interest rates. The Fund is exposed to interest rate risk on its cash and bank balances held at The Bank of New York Mellon (International) Limited, amounts held at futures clearing houses and brokers and cash equivalent holdings. Cash held on deposit at The Bank of New York (International) Limited receives/ incurs interest at the prevailing daily rate which may be negative depending on the currency in which the cash is held. The Fund also has indirect exposure to interest rate risk through its investments into CIS, whereby the value of the underlying fund may fluctuate as a result of a change in interest rates and through its investment in futures contracts, whereby the value of an underlying asset may fluctuate as a result of a change in interest rates through its investments in interest-bearing securities. The interest rate risk profile of the Fund s investments as at 29 February 2016 was as follows: Floating Rate Investments Fixed Rate Investments Non-interest Bearing Investments Total 53, ,331 24, ,366 Management of interest rate risk Interest rate risk exposure is managed by constantly monitoring the position for deviations outside of a pre-determined tolerance level and, when necessary, rebalancing back to the original desired parameters. b) Counterparty credit risk Exposure to counterparty credit risk Counterparty credit risk is the risk that one party to a financial instrument will cause a financial loss for the other party by failing to discharge an obligation. The Fund is exposed to counterparty credit risk from the parties with which they trade and will bear the risk of settlement default. Management of counterparty credit risk Counterparty credit risk is monitored and managed by BlackRock s RQA Counterparty & Concentration Risk Team. The team is headed by BlackRock s Chief Credit Officer who reports directly to the Global Head of RQA. Credit authority resides with the Chief Credit Officer and selected team members to whom specific credit authority has been delegated. As such, counterparty approvals may be granted by the Chief Credit Officer or by identified RQA Credit Risk Officers who have been formally delegated authority by the Chief Credit Officer as deemed appropriate. BlackRock s RQA Counterparty & Concentration Risk Team completes a formal review of each new counterparty, monitors and reviews all approved counterparties on an ongoing basis and maintains an active oversight of counterparty exposures. The Manager maintains a list of approved counterparties. This list is regularly monitored and revised for changes based on the counterparty s creditworthiness, market reputation and expectations of future financial performance. Transactions will only be opened with financial intermediaries on the approved counterparties list. i) Exchange Traded Financial Derivative Instruments The Fund s holdings in futures contracts expose the Fund to counterparty credit risk. Management of counterparty credit risk related to futures contracts The exposure is limited by trading the contracts through a clearing house. The Fund s exposure to counterparty credit risk on contracts in which they currently have a gain position is reduced by such gains received in cash from the counterparty under the daily mark-to market mechanism on exchange traded futures contracts (variation margin). The Fund s exposure to credit risk on contracts in which they currently have a loss position is equal to the amount of margin posted to the counterparty which has not been transferred to the exchange under the daily mark-to-market mechanism. The counterparty for futures contracts is Goldman Sachs. Margin is paid or received on futures to cover any exposure by the counterparty or the Fund to each other. Margin receivable from the Fund s clearing brokers and various counterparties is included in Cash and bank balances on the Balance Sheet. Margin payable to the Fund s clearing brokers and various counterparties is included in Amounts held at futures clearing houses and brokers on the Balance Sheet. 9 BlackRock Investment Funds 10

7 Financial Instruments and Risks continued ii) Over-the-Counter ( OTC ) Financial Derivative Instruments The Fund s holdings in forward currency contracts also expose the Fund to counterparty credit risk. The Fund s maximum exposure to counterparty credit risk from holding forward currency contracts will be equal to the notional amount of the currency and any net unrealised gains or losses as disclosed in the portfolio statement. The Fund s holdings in credit default swaps, interest rate swaps, OTC options and total return swaps expose the Fund to counterparty credit risk. Counterparty credit risk arises from the failure of the counterparty to perform according to the terms of the contract. The Fund s exposure to counterparty credit risk is limited to the contracts in which it currently has a gain position reduced by the cash collateral received from the counterparty or to counterparties who have received collateral from the Fund. The carrying value of financial assets together with cash best represents the Fund s gross maximum exposure to counterparty credit risk at the reporting date, before including the effect of International Swaps and Derivatives Association, Inc. ( ISDA ) master agreements and close-out netting, which would reduce the overall counterparty credit risk exposure. Cash held as security by the counterparty to derivative contracts is subject to the credit risk of the counterparty. Management of counterparty credit risk related to OTC Financial Derivative Instruments Forward currency contracts do not require variation margins and thus the counterparty credit risk is monitored through the BlackRock RQA Counterparty & Concentration Risk Team who monitor the creditworthiness of the counterparty. The counterparties for forward currency contracts are disclosed in the portfolio statement. The lowest credit rating of any one counterparty is BBB- (Standard & Poor s rating). iii) Trustee and Custodian The Fund s Trustee is BNY Mellon Trust & Depositary (UK) Limited (the Trustee ). The Trustee has delegated the function of custodian of the property of the Fund to The Bank of New York Mellon (International) Limited (the Custodian ). Substantially all of the investments other than financial derivative instruments of the Fund are held by the Custodian at period end. Investments are segregated from the assets of the Custodian s, with ownership rights remaining with the Fund. Bankruptcy or insolvency of the Custodian may cause the Fund s rights with respect to its investments held by the Custodian to be delayed or limited. The maximum exposure to this risk is the amount of long investments disclosed in the portfolio statement. Management of counterparty credit risk related to the Trustee and Custodian To mitigate the Fund s credit risk with respect to the Trustee, the Investment Manager of the Fund employs specific procedures to ensure that the Trustee employed is a reputable institution and that the associated credit risk is acceptable to the Fund. The Fund only transacts with counterparties that are regulated entities subject to prudential supervision, or with high credit-ratings assigned by international credit-rating agencies. The long term credit rating of the parent company of the Trustee and Custodian, The Bank of New York Mellon Corporation as at 29 February 2016 was A+ (Standard & Poor s rating). iv) Counterparties All transactions in listed securities are settled/paid for upon delivery using approved brokers. The risk of default is considered minimal, as delivery of securities sold is only made once the broker has received payment. Payment is made on a purchase once the securities have been received by the broker. The trade will fail if either party fails to meet its obligation. Counterparty credit risk arising on transactions with brokers relates to transactions awaiting settlement. Risk relating to unsettled transactions is considered small due to the short settlement period involved and the high credit quality of the brokers used. Management of counterparty credit risk related to Counterparties The Manager monitors the credit rating and financial position of the brokers used to further mitigate this risk. v) Debt securities Issuer credit risk is the default risk of one of the issuers of any securities held by the Fund. Bonds or other debt securities involve credit risk to the issuer which may be evidenced by the issuer s credit rating. Securities which are subordinated and/or have a higher credit risk have a greater possibility of default than more highly rated. The Fund invests into sovereign and corporate debt. This exposes the Fund to the risk that the issuer of the bonds may default on interest or principal payments. Management of counterparty credit risk related to debt securities To manage this risk, the Investment Manager invests in a wide range of securities, subject to the investment objective of the Fund and monitors the credit ratings of the investments as disclosed in the portfolio statement. The ratings of the debt securities are continually monitored by the BlackRock Portfolio Management Group. The Fund will be exposed to the credit risk of the Custodian, or any depositary used by the Trustee regarding cash balances held in accounts with same. In the event of insolvency or bankruptcy of the Custodian or any depositary used by the Trustee, the Fund will be treated as a general creditor of the Trustee. 11 BlackRock Investment Funds 12

8 Financial Instruments and Risks continued The following table details the credit rating profile of the debt securities held by the Fund as a percentage of the NAV as at the Balance Sheet date: Investment grade % Non-investment grade % Not rated % Total % vi) Collateral The Fund engages in activities which may require collateral to be provided to a counterparty ( pledged collateral ) or may hold collateral received ( inbound collateral ) from a counterparty. Management of counterparty credit risk related to collateral The Fund uses inbound collateral received from a counterparty to reduce the credit risk associated with any trading activity the Fund has engaged in. Cash collateral pledged by the Fund is separately identified on the Balance Sheet as cash collateral and is not included as a component of cash and cash equivalents. Inbound cash collateral received by the Fund is reflected on the Balance Sheet as cash collateral payable. The following table details the number of counterparties the Fund is exposed to and the maximum exposure (which is calculated on a net basis) to any one counterparty. Broker Credit Default Swaps Forwards Interest Rate Swaps OTC Options Total Return Swaps Total Exposure Bank of America Merrill Lynch 89 (8) Barclays Bank Plc (16) (1,598) 31 (1,583) BNP Paribas Arbitrage Citibank (83) 2 65 (116) (132) Commonwealth Bank of Australia (33) (33) Credit Suisse 28 (12) 16 Deutsche Bank AG (762) (30) 177 (615) Goldman Sachs (101) (28) (166) (295) HSBC (871) (1) 4 (1,371) (2,239) JP Morgan Chase Securities Plc 779 (21) (102) 656 Morgan Stanley & Co. 87 (6) 81 Nomura (7) (7) Royal Bank of Scotland (167) (167) Société Générale (2) (2) Standard Chartered (20) (20) UBS (130) (130) Collateral received from these counterparties in respect of derivative contracts was in the form of cash. Collateral pledged to these counterparties in respect of derivative contracts was in the form of UK Sterling Government Bonds and 000 2,040 in the form of cash. Counterparty exposure has not been disclosed for exchange traded derivatives as the exchange requirements in respect of collateral mean that, in the opinion of the Manager, the counterparty risk is mitigated. c) Liquidity risk Exposure to liquidity risk Liquidity risk is the risk that the Fund will encounter difficulties in meeting its obligations associated with financial liabilities. Liquidity risk to the Fund arises from the redemption requests of investors and the liquidity of the underlying investments the Fund is invested in. The Fund s unitholders may redeem their units on the close of any daily dealing deadline for cash equal to a proportionate share of the Fund s Net Asset Value. The Fund is therefore potentially exposed to the liquidity risk of meeting the unitholders redemptions and may need to sell assets at prevailing market prices to meet liquidity demands. The Fund is also exposed to the liquidity risk of daily margin calls on derivatives. All non-derivative financial liabilities held by the Fund as at 29 February 2016, based on contractual maturities, fall due within one to three months. Management of liquidity risk Liquidity risk is minimised by holding sufficient liquid investments which can be readily realised to meet liquidity demands. At times of excessive redemptions the Manager may decide to defer redemptions at any valuation point to the next valuation point where the requested aggregate redemptions exceed 10 per cent of the Fund s value. This will therefore allow the Manager to protect the interests of continuing unitholders by allowing the Manager to match the sale of scheme property to the level of redemptions. This should reduce the impact of dilution on the Fund. All unitholders who have sought to redeem units at any valuation point at which redemptions are deferred will be treated consistently and any redemption requests received in the meantime will not be processed until the redemption requests that have been deferred to the subsequent valuation points have been processed. The Fund s liquidity risk is managed on a daily basis by the Investment Manager in accordance with established policies and procedures in place. The portfolio managers review daily forward looking cash reports which project cash obligations. These reports allow them to manage their cash obligations. 13 BlackRock Investment Funds 14

9 Financial Instruments and Risks continued d) Valuation of financial instruments The Fund classifies financial instruments measured at fair value using a fair value hierarchy. The fair value hierarchy has the following categories: Level 1 Quoted prices for identical instruments in active markets A financial instrument is regarded as quoted in an active market if quoted prices are readily and regularly available and those prices represent actual and regularly occurring market transactions on an arm s length basis. The Fund does not adjust the quoted price for these instruments. Level 2 Valuation techniques using observable inputs This category includes instruments valued using: quoted prices in active markets for similar instruments; quoted prices for similar instruments in markets that are considered less than active; or other valuation techniques where all significant inputs are directly or indirectly observable from market data. Valuation techniques used for non-standardised financial instruments such as OTC derivatives, include the use of comparable recent arm s length transactions, reference to other instruments that are substantially the same, discounted cash flow analysis, option pricing models and other valuation techniques commonly used by market participants making the maximum use of market inputs and relying as little as possible on entity determined inputs. Level 3 Valuation techniques using significant unobservable inputs This category includes all instruments where the valuation techniques used include inputs not based on market data and these inputs could have a significant impact on the instrument s valuation. This category also includes instruments that are valued based on quoted prices for similar instruments where significant entity determined adjustments or assumptions are required to reflect differences between the instruments and instruments for which there is no active market. The level in the fair value hierarchy within which the fair value measurement is categorised in its entirety is determined on the basis of the lowest level input that is significant to the fair value measurement in its entirety. For this purpose, the significance of an input is assessed against the fair value measurement in its entirety. If a fair value measurement uses observable inputs that require significant adjustment based on unobservable inputs, that measurement is a level 3 measurement. Assessing the significance of a particular input to the fair value measurement in its entirety requires judgment, considering factors specific to the asset or liability. The determination of what constitutes observable inputs requires significant judgement by the Investment Manager. The Investment Manager considers observable inputs to be that market data that is readily available, regularly distributed or updated, reliable and verifiable, not proprietary, and provided by independent sources that are actively involved in the relevant market. The table below is an analysis of the Fund s investment assets and investment liabilities measured at fair value at the Balance Sheet date. Level 1 Level 2 Level 3 Total 29 February 2016 Investment assets 34, , ,608 Investment liabilities (5,705) (7,537) (13,242) Securities with a value less than 500 are not disclosed in the table above. These securities are identified on the portfolio statement. e) Global exposure The Manager is required by the COLL Sourcebook to employ a risk management process in respect of the Fund which enables it to accurately monitor and manage the global exposure from financial derivative instruments ( FDI ). The Manager uses the Absolute VaR methodology to measure the Fund s global exposure. The table below details the highest, lowest and average utilisation of the VaR limit, expressed as a percentage of the respective absolute VaR regulatory limit. Fund Global Exposure Approach Highest utilisation of the VaR limit Lowest utilisation of the VaR limit Average utilisation of the VaR limit BlackRock Dynamic Return Strategy Fund Absolute VaR 69.00% 10.95% 17.75% The exposures to FDI at period end are marked on the portfolio statement. f) Leverage The use of derivatives may expose the Fund to a higher degree of risk. In particular, derivative contracts can be highly volatile and the amount of initial margin is generally small relative to the size of the contract so that transactions may be leveraged in terms of market exposure. A relatively small market movement may have a potentially larger impact on derivatives than on standard bonds or equities. Leveraged derivative positions can therefore increase a fund s volatility. The leverage is calculated on a gross exposure basis, by taking the sum of the notional values of the derivatives used by the Fund, without netting, and is expressed as a percentage of the NAV. The average level of leverage employed by the Fund during the period was 376%. 15 BlackRock Investment Funds 16

10 Dynamic Return Strategy Fund About the Fund The BlackRock Dynamic Return Strategy Fund (the Fund ) was authorised by the Financial Conduct Authority on 2 March 2015 and established on 30 March Fund Merger The Dynamic Return Strategy Fund (a sub-fund of the BlackRock Non-UCITS Retail Funds (the Non- UCITS Fund )) merged into the Fund, (a sub-fund of the BlackRock Investment Funds) on 31 March It was established that the dynamic return investment strategies of the Non-UCITS Fund and the Fund are identical. However, whereas the Non-UCITS Fund was established as an offering predominantly aimed at the institutional client base, the Fund offers the same strategy to both retail and institutional clients. Amalgamating the two funds was effected to facilitate increased investment and portfolio growth for the Fund. Following the merger of the Non-UCITS Fund with the Fund, the unitholders received units in the Fund on 31 March 2015 and all units in the Non-UCITS Fund were cancelled as of that date. Investment Objective & Policy The aim of the Fund is to achieve a positive absolute return on a rolling three year basis regardless of market conditions. The level of return which the Fund aims to generate over the medium to long term is equivalent to the return from cash (measured by 3 month GBP LIBOR) plus 6% a year, gross of fees. In addition, the Fund also seeks to manage risk through active asset allocation with a view to achieving lower risk than investing in a portfolio of global equity securities alone. Risk and Reward Profile Lower risk Typically lower rewards Higher risk Typically higher rewards Unit Class D Accumulation I Accumulation X Accumulation `` The risk indicator was calculated incorporating simulated historical data and may not be a reliable indication of the future risk profile of each unit class. `` The risk category shown is not guaranteed and may change over time. `` The lowest category does not mean risk free. `` The use of derivatives will impact the value of the Fund and may expose the Fund to a higher degree of risk. Derivatives are highly sensitive to changes in the value of the asset on which they are based and can increase the size of losses and gains, resulting in greater fluctuations in the value of the Fund. For more information on this, please see the Fund s Key Investor Information Documents (KIIDs), which are available at The Fund will be managed with the aim of delivering absolute (more than zero) returns on a three year rolling basis in any market conditions. However, an absolute return is not guaranteed over three year rolling periods or any period and the Fund may experience periods of negative return. The Fund s capital is at risk. The Fund has a flexible approach to asset allocation and will seek to diversify its exposure across a variety of asset classes globally including equity securities, fixed income securities, money market instruments, deposits, cash and near cash, and derivatives. The Fund may also hold indirect exposure to alternative asset classes such as commodities or property through eligible index derivatives, eligible collective investment schemes or structured securities. In order to gain this exposure the Fund will utilise a variety of investment strategies and eligible instruments. For example, it may invest in any or all of the following: transferable securities (equity securities and fixed income securities), money market instruments, deposits, cash and near cash, and units of collective investment schemes. The Fund may invest in a full range of fixed income securities and money market instruments which may include non-investment grade securities. To achieve its investment objective, the Fund may take full advantage of the ability to use derivatives. A significant proportion of the Fund s portfolio may consist of derivatives on a daily basis. The Fund s exposure will vary over time as determined by the Investment Manager at its sole discretion. 17 BlackRock Investment Funds 18

11 Dynamic Return Strategy Fund Investment Report This Annual Report covers the period from 30 March 2015 (date of launch) to 29 February Performance Table Since launch to TOTAL Return (with net income reinvested) Class I Accumulation Units BlackRock Dynamic Return Strategy Fund -7.2% 3 month Sterling LIBOR* +0.5% All Fund figures quoted are based on bid-to-bid prices (the price at which units are sold) and are calculated net of fees. Performance returns are cumulative. All returns are in Sterling. * Figures from Bloomberg. The Fund s performance is not measured in reference to a benchmark index. For purely reference purposes we are showing the 3 month Sterling LIBOR as an indicator of the general return on cash investments over the period. All financial investments involve an element of risk. Therefore, the value of your investment and the income from it will vary and the return of your initial investment amount cannot be guaranteed. Changes in exchange rates may cause the value of an investment to fluctuate. Past performance is not a guide to future performance and should not be the sole factor of consideration when selecting a product. Summary of Performance over the Period The Fund returned -7.2%* over the period from 31 March 2015 (date of launch) to 29 February 2016, very regrettably underperforming its benchmark, 3-month Sterling LIBOR, which returned 0.5%. Over the six months to 29 February 2016, the Fund returned -3.6%*, underperforming its benchmark, which returned 0.3%. Although financial markets were subject to heightened levels of volatility and we witnessed sharp falls in equity markets at various points during the period, we are disappointed by the level of return achieved. In hindsight, too much emphasis was placed on the ability of European assets to deliver higher returns. Losses incurred in the region, together with certain of our more tactical trades in individual country equities or currencies, were offset to some degree by more positive returns from exposure to global corporate bonds and, latterly, from holdings in gold and silver. Fund Manager s Commentary Financial markets were dominated by three key themes during the year. First, the fall in the oil price led to weaknesses in global commodity prices. Second, slowing growth in China, leading to questions about the ability of emerging markets to drive global growth. Third, divergence in central bank policies in relation to interest rates. In respect of the latter, the US Federal Reserve introduced the first increase in interest rates (since June 2006) in December This contrasted sharply to central bank easing in Europe and Japan. Against these backdrops, developed and emerging market equities declined in value. Meanwhile, traditional safe haven assets, such as developed-market government bonds and gold, generated positive returns. The largest detractors from returns were positions in European equities and peripheral European government bonds (bonds in Spain, Portugal and Greece). Although European growth in peripheral markets moved forward during 2015, uncertainty over the potential for Greece to exit the eurozone undermined sentiment towards the region in the late spring. We maintained exposure in the belief that a resolution would be identified. This proved to be the case and markets rebounded between July and December However, more recently, growth has stalled, given concerns over the impact of negative interest rates on the ability of banks to lend, together with the increased political risk associated with the migrant crisis and terrorist activity. Accordingly, we have reduced exposure to European assets in favour of a stronger bias to the US, where we believe growth is on a more sustainable upward trend. Other areas that had a negative impact on returns included allocations to sectors such as US homebuilders and gold miners. These losses were offset somewhat by positive returns from holdings in gold and silver, a positive view on the US dollar and short positions in energy-related stocks. Exposure to corporate bonds also provided a positive underpin to the portfolio. Whilst recognising returns have been disappointing over the period, we retain our conviction in the investment team and process to deliver results over the longer term. The positioning in Europe proved costly during the period but looking forward, the portfolio now has a much stronger focus on the US. We believe the year ahead will be characterised by more volatility and we remain concerned about the outlook for China and the knock-on impact of slower growth there upon the global economy. However, as more dispersion between the returns for individual regions, countries and sectors becomes apparent, we believe this environment will provide opportunities for a strategy that is highly dynamic in nature to take advantage of short-term changes in market sentiment. March 2016 * Performance figures quoted are based on bid-to-bid dealing prices (the price at which units are sold). Performance is calculated net of fees and reported for the Fund s class I Accumulation Units. 19 BlackRock Investment Funds 20

12 Performance Record Comparative Table D Accumulation Units I Accumulation Units X Accumulation Units For the period from ^ to For the period from ^ to For the period from ^ to Pence per unit Pence per unit Pence per unit Change in net assets per unit Opening net asset value per unit Return before operating charges (6.60) Operating charges (0.78) (0.82) (0.04) Return after operating charges (7.38) Closing net asset value per unit Retained distributions on accumulation units After direct transaction costs of (0.11) (0.12) (0.12) Performance Return after charges 1 (7.38)% 1.89% 3.41% Other information Closing net asset value () , ,381 Closing number of units 39, ,983, ,907,631 Operating charges % 0.84% 0.04% Direct transaction costs % 0.08% 0.08% Prices Pence per unit Pence per unit Pence per unit Highest offer unit price Lowest bid unit price ^ The date of commencement of operations. 1 The return after charges figures are based on the net asset value reported for financial statements purposes and are not the same as the performance returns figures quoted in the Performance Table and the Investment Report which are based on bid-to-bid dealing prices (the price at which units are sold). 2 Operating charges are annualised and exclude portfolio trade-related costs, except costs paid to the custodian/depositary and entry/ exit charges paid to an underlying collective investment scheme (if any). 3 Direct transaction costs are annualised and principally comprise commissions and taxes, attributable to the Fund s purchase and sale of equity instruments. See note 15 for further details. Distribution Tables for the period from 30 March 2015 to 29 February 2016 Final Distribution in Pence per Unit Group 1 Units purchased prior to 1 September 2015 Group 2 Units purchased 1 September 2015 to 29 February 2016 D Accumulation Units^ I Accumulation Units^ X Accumulation Units^ Group 1 Group 2 Group 1 Group 2 Group 1 Group 2 Gross Revenue Income tax Net revenue (interest) Equalisation Distribution payable Distribution paid N/A N/A N/A N/A N/A N/A Interim Distribution in Pence per Unit Group 1 - Units purchased on 30 March 2015 Group 2 - Units purchased 31 March 2015 to 31 August 2015 D Accumulation Units^ i Accumulation Units^ x Accumulation Units^ Group 1 Group 2 Group 1 Group 2 Group 1 Group 2 Gross Revenue Income tax Net revenue (interest) Equalisation Distribution paid Distribution paid N/A N/A N/A N/A N/A N/A Equalisation applies only to units purchased during the distribution period (Group 2 units). It is the average amount of revenue included in the purchase price of all Group 2 units and is refunded to holders of these units as a return of capital. Being capital, it is not liable to income tax but must be deducted from the cost of units for capital gains tax purposes. ^ Fund launched on 30 March BlackRock Investment Funds 22

13 Portfolio Statement at 29 February 2016 Holding or Market % of Nominal Value Total Net Value Investment Assets UNITED KINGDOM 31.68% BONDS 31.68% UK Sterling Denominated Fixed Rate Corporate Bonds 9.93% 3,500,000 Asian Development Bank 1% Senior European Medium Term Notes 15/12/2016 3, ,000 BAT International Finance 4% European Medium Term Notes 23/11/ ,000 CRH Finance 4.125% European Medium Term Notes 2/12/ ,000,000 Deutsche Pfandbriefbank % European Medium Term Notes 29/9/2017 1, ,000,000 European Investment Bank 3.25% Guaranteed Senior European Medium Term Notes 7/12/2016 3, ,000 Goldman Sachs 6.125% Guaranteed Subordinated European Medium Term Bonds 14/5/ ,000,000 International Bank for Reconstruction & Development 1% Senior European Medium Term Notes 28/12/2016 7, ,000 Lloyds Bank 2.75% Senior European Medium Term Notes 9/12/ ,000 RELX 7% Guaranteed Notes 11/12/ ,700,000 Svenska Handelsbanken 5.5% Guaranteed Senior Notes 26/5/2016 3, ,000 Telecom Italia 7.375% Guaranteed Senior European Medium Term Notes 15/12/ ,520 Unique Pub Finance 6.542% Bonds 30/3/ , UK Sterling Denominated Fixed Rate Government Bonds 0.19% 160,000 Treasury 2.75% Gilts 7/9/2024*** ,000 Treasury 5% Stock 7/3/2025** UK Sterling Denominated Variable Rate Corporate Bonds 21.56% 5,000,000 Abbey National Treasury Services % European Medium Term Floating Rate Notes 20/1/2017 5, ,500,000 ASB Finance % Floating Rate European Medium Term Notes 13/3/2017 4, ,000 Compartment Driver UK Three % Floating Rate Asset Backed Bonds 25/1/ ,500,000 Credit Mutuel CIC Home Loan % Floating Rate Bonds 22/4/2016 3, Holding or Market % of Nominal Value Total Net Value Investment Assets 3,900,000 Deutsche Pfandbriefbank % Floating Rate European Medium Term Notes 16/5/2016 3, ,900,000 Dexia Credit Local % Floating Rate European Medium Term Notes 15/4/2016 2, ,000 Duncan Funding % Floating Rate Mortgage Backed Bonds 17/12/ ,500,000 European Investment Bank % Floating Rate European Medium Term Notes 22/2/2017 3, ,000,000 GE Capital UK Funding % Floating Rate Notes 9/5/2016 2, ,000,000 Lloyds Bank % Floating Rate European Medium Term Notes 16/1/2017 5, ,000 Lloyds Bank 10.75% Floating Rate Guaranteed European Medium Term Notes 16/12/ ,000 Logistics UK % Floating Rate Mortgage Backed Bonds 20/8/ ,500,000 Muenchener Hypothekenbank % Floating Rate European Medium Term Notes 25/4/2016 3, ,884,000 National Australia Bank % Floating Rate Notes 12/8/2016 2, ,170,000 Nationwide Building Society % Floating Rate Bonds 17/7/2017 3, ,923 Precise Mortgage Funding % Floating Rate Notes 12/9/ ,000 Trinity Square % Floating Rate Mortgage Backed Bonds 15/7/ ,850,000 Yorkshire Building Society % Floating Rate Bonds 23/3/2016 3, EUROPE 16.76% BONDS 16.76% 46, Danish Kroner Denominated Fixed Rate Corporate Bonds 1.01% DKK 12,460,000 Nordea Kredit Realkreditaktieselskab 2% Bonds 1/1/2017 1, DKK 2,125,000 Nykredit Realkredit 1% Bonds 1/7/ DKK 6,081,776 Nykredit Realkredit 2% Bonds 1/10/ , BlackRock Investment Funds 24

14 Portfolio Statement continued Holding or Market % of Nominal Value Total Net Value Investment Assets Euro Denominated Fixed Rate Corporate Bonds 8.35% 100,000 Abbey National Treasury Services 0.875% European Medium Term Notes 25/11/ ,000 ABN AMRO 6.375% Bonds 27/4/ ,000 Achmea Bank 0.875% European Medium Term Notes 17/9/ ,000 Amadeus Finance 0.625% European Medium Term Notes 2/12/ ,000 Anglo American Capital 1.75% European Medium Term Notes 20/11/ ,000 APT Pipelines 1.375% Bonds 22/3/ ,303 Asset Backed European Securitisation Transaction Nine 0.729% Asset Backed Securities 10/12/ ,000 Banca Monte dei Paschi di Siena 1.25% Bonds 20/1/ ,000 Banca Monte dei Paschi di Siena 2.125% Bonds 26/11/ ,000 Bank of America 2.375% Senior European Medium Term Notes 19/6/ ,000 Bank of Ireland 2% Senior European Medium Term Notes 8/5/ ,000 Bankia 3.5% Senior Notes 17/1/ ,000 Bankinter 2.75% Notes 26/7/ ,000 Banque Fédérative du Crédit Mutuel 3% European Medium Term Notes 11/9/ ,000 Banque Fédérative du Crédit Mutuel 4.625% European Medium Term Notes 27/4/ ,000 Barclays 2.625% European Medium Term Notes 11/11/ ,000 BAT International Finance 2% European Medium Term Notes 13/3/ ,000 BBVA 0.625% Bonds 17/5/ ,000 BHP Billiton Finance 4.75% Bonds 22/4/ ,000 BHP Billiton Finance 5.625% Bonds 22/10/ ,000 BNP Paribas 5.431% Subordinated European Medium Term Bonds 7/9/ ,000 BPCE 1.125% European Medium Term Notes 14/12/ ,000 BPCE 2.125% Senior European Medium Term Notes 17/3/ ,000 British Sky Broadcasting 1.5% European Medium Term Notes 15/9/ ,000 Canal de Isabel II Gestion 1.68% European Medium Term Notes 26/2/ ,000 Coca-Cola 0.75% Senior Notes 9/3/ Holding or Market % of Nominal Value Total Net Value Investment Assets 700,000 Commerzbank 3.625% Senior European Medium Term Notes 10/7/ ,000 Commerzbank 6.375% Subordinated European Medium Term Notes 22/3/ ,000 Credit Suisse 1.125% Bonds 15/9/ ,000 Cyprus (Government) 4.75% Notes 25/6/ ,000 Enexis 1.5% European Medium Term Notes 20/10/ ,000 ENGIE 0% European Medium Term Notes 13/3/ ,000 European Investment Bank 4% European Medium Term Notes 15/4/ ,000 Eutelsat 4.125% Guaranteed Senior Notes 27/3/ ,000 Gas Natural Capital Markets 4.125% European Medium Term Notes 24/4/ ,000 Gas Natural Fenosa Finance 3.375% Bonds 29/12/ ,000 GAZ Capital 5.44% Bonds 2/11/ ,000 Gazprom Capital 3.755% European Medium Term Notes 15/3/ ,000 Gazprom Capital 5.136% Bonds 22/3/ ,000 GE Capital 4.125% Guaranteed European Medium Term Bonds 27/10/ ,000 Glencore Finance Europe 1.25% European Medium Term Notes 17/3/ ,000 Glencore Finance Europe 1.75% European Medium Term Notes 17/3/ ,000 Goldman Sachs 0.669% Senior Notes 23/5/ ,000 Goldman Sachs 0.75% European Medium Term Notes 10/5/ ,000 Goldman Sachs 4.375% Senior European Medium Term Notes 16/3/ ,000 Hammerson 2.75% Guaranteed Senior Notes 26/9/ ,032,000 HeidelbergCement Finance 8% Bonds 31/1/ ,000 Hella 1.25% Senior Notes 7/9/ ,000 Honeywell International 1.3% Bonds 22/2/ ,000 Iberdrola International 2.5% Guaranteed European Medium Term Notes 24/10/ ,000 Iberdrola International 4.5% European Medium Term Notes 21/9/ ,000 ING Bank 6.125% Subordinated Floating Rate European Medium Term Notes 29/5/ ,000 Intesa Sanpaolo 4.75% Guaranteed Senior Bonds 15/6/ BlackRock Investment Funds 26

15 Portfolio Statement continued Holding or Market % of Nominal Value Total Net Value Investment Assets 150,000 Intesa Sanpaolo 5% Subordinated European Medium Term Notes 23/9/ ,000 KfW 0.125% European Medium Term Notes 1/6/ ,000 Nordea Bank AB 1% European Medium Term Notes 22/2/ ,000 Nordea Bank AB 1.875% European Medium Term Notes 10/11/ ,000 Rabobank Nederland 3.75% Subordinated European Medium Term Notes 9/11/ ,000 Renault 3.125% Senior European Medium Term Notes 5/3/ ,500,000 Royal Bank of Scotland 4.35% Subordinated European Medium Term Notes 23/1/2017 1, ,000 Shell International Finance 1% European Medium Term Notes 6/4/ ,000 Shell International Finance 1.875% European Medium Term Notes 15/9/ ,000 Sky 1.875% European Medium Term Notes 24/11/ ,000 Snam 1.375% European Medium Term Notes 19/11/ ,000 Snam 1.5% European Medium Term Notes 21/4/ ,000 Solvay 1.625% Bonds 2/12/ ,000 Solvay 2.75% Bonds 2/12/ ,000 Solvay Finance 5.118% Perpetual Bonds ,000 UBS 2.125% Senior Notes 4/3/ ,000 UniCredit 1.5% European Medium Term Notes 19/6/ ,000 UniCredit 5.75% Guaranteed Subordinated European Medium Term Bonds 26/9/ ,000 Volkswagen International 2.5% Subordinated Perpetual Bonds ,000 Wells Fargo 2% European Medium Term Notes 27/4/ ,000 Wells Fargo 4.375% Senior European Medium Term Notes 1/8/ ,000 WPP Finance % European Medium Term Notes 18/11/ ,000 Xstrata Finance Canada 5.25% Guaranteed European Medium Term Bonds 13/6/ , Holding or Market % of Nominal Value Total Net Value Investment Assets Euro Denominated Fixed Rate Government Bonds 6.66% 275,000 Cyprus (Government) 3.875% European Medium Term Notes 6/5/ ,000 France (Government) 2.25% Bonds 25/5/ ,000 Germany (Federal Republic) 1.75% Bonds 15/2/ ,000 Germany (Federal Republic) 2.5% Bonds 4/7/ ,445 Greece (Republic) 3% Bonds 24/2/ ,445 Greece (Republic) 3% Bonds 24/2/ ,445 Greece (Republic) 3% Bonds 24/2/ ,445 Greece (Republic) 3% Bonds 24/2/ ,445 Greece (Republic) 3% Bonds 24/2/ ,445 Greece (Republic) 3% Bonds 24/2/ ,445 Greece (Republic) 3% Bonds 24/2/ ,445 Greece (Republic) 3% Bonds 24/2/ ,445 Greece (Republic) 3% Bonds 24/2/ ,445 Greece (Republic) 3% Bonds 24/2/ ,445 Greece (Republic) 3% Bonds 24/2/ ,445 Greece (Republic) 3% Bonds 24/2/ ,445 Greece (Republic) 3% Bonds 24/2/ ,445 Greece (Republic) 3% Bonds 24/2/ ,445 Greece (Republic) 3% Bonds 24/2/ ,445 Greece (Republic) 3% Bonds 24/2/ ,445 Greece (Republic) 3% Bonds 24/2/ ,445 Greece (Republic) 3% Bonds 24/2/ ,445 Greece (Republic) 3% Bonds 24/2/ ,445 Greece (Republic) 3% Bonds 24/2/ ,000 Greece (Republic) 4.75% Bonds 17/4/ ,000 Indonesia (Government) 3.375% International Bond 30/7/ ,000 Italy (Republic) 1.15% Bonds 15/5/ ,015,000 Italy (Republic) 2.15% Bonds 12/11/ ,000 Italy (Republic) 2.25% Bonds 22/4/ ,000 Italy (Republic) 2.55% Bonds 22/10/ ,000 Italy (Republic) 2.7% Bonds 1/3/ ,000 Portugal (Government) 2.875% Senior Bonds 15/10/ ,990,000 Portugal (Government) 2.875% Bonds 21/7/2026 1, ,667 Portugal (Government) 3.85% Bonds 15/4/ ,836,000 Portugal (Government) 3.875% Bonds 15/2/2030 2, ,832,100 Portugal (Government) 4.1% Bonds 15/2/2045 3, BlackRock Investment Funds 28

16 Portfolio Statement continued Holding or Market % of Nominal Value Total Net Value Investment Assets 260,000 Portugal (Government) 4.35% Bonds 16/10/ ,011 Portugal (Government) 5.65% Senior Notes 15/2/ ,000 Romania (Government) 5.25% Bonds 17/6/ ,000 Russian Foreign Bond Eurobond 3.625% Bonds 16/9/ ,000 Slovenia (Republic) 2.125% Bonds 28/7/ ,000 Slovenia (Republic) 5.125% Bonds 30/3/ ,000,000 Spain (Kingdom) 0.5% Bonds 31/10/ ,000 Spain (Kingdom) 1.8% Inflation Linked Bonds 30/11/ ,128,000 Spain (Kingdom) 5.5% Bonds 30/7/ , Euro Denominated Variable Rate Corporate Bonds 0.74% 100,000 Bayer Nordic 0.429% European Medium Term Notes 28/3/ ,098 Compartment VCL % Floating Rate Asset Backed Bonds 21/8/ ,000 Danske Bank 0.75% European Medium Term Notes 4/5/ ,000 Enel 5% Subordinated Floating Rate Notes 15/1/ ,000 ENGIE 3% Perpetual Subordinated Floating Rate Notes ,000 ING Bank 3.625% Subordinated Floating Rate European Medium Term Notes 25/2/ ,000 Rabobank Nederland 2.5% Subordinated Floating Rate Notes 26/5/ ,256 SCF Rahoituspalvelut I Designated Activity 0.22% Floating Rate Asset Backed Bonds 25/11/ ,725 Sunrise SRL 1.134% Floating Rate Notes 27/5/ ,000 Total 2.25% European Medium Term Notes Perpetual ,000 UBS 4.75% Floating Rate European Medium Term Notes 12/2/ ,000 Volkswagen International Finance 3.5% Perpetual Notes ASIA PACIFIC 0.34% BONDS 0.34% 1, Australian Dollar Denominated Fixed Rate Corporate Bonds 0.34% AU$1,400,000 KfW 2.75% Medium Term Notes 16/4/ NORTH AMERICA 32.05% Holding or Market % of Nominal Value Total Net Value Investment Assets EQUITIES 6.60% United States of America 6.60% 2,910 Accenture ,792 Altria Amazon ,029 Amgen ,559 Boeing ,000 Brown-Forman class B shares California Resources^ ,152 CBS class B shares ,366 Cummins ,038 CVS Health ,576 DaVita ,067 Dow Chemical ,948 Du Pont de Nemours ,144 Dun & Bradstreet ,338 Edwards Lifesciences ,858 Eli Lilly ,929 Equifax ,500 ETFS Physical Silver 3, ,766 Facebook ,198 FedEx ,637 FLIR Systems ,549 Fluor ,998 FMC ,186 General Dynamics ,699 Goodyear Tire & Rubber ,592 H&R Block ,887 Harris ,987 Intuit ,534 L-3 Communications ,420 Lockheed Martin ,420 MasterCard class A shares ,288 McGraw Hill Financial ,286 Monsanto ,037 Motorola Solutions ,550 Northrop Grumman ,624 Nucor ,180 Occidental Petroleum BlackRock Investment Funds 30

17 Portfolio Statement continued Holding or Market % of Nominal Value Total Net Value Investment Assets BONDS 25.45% 3,557 Philip Morris International ,748 Pitney Bowes ,939 Qualcomm ,391 Raytheon ,057 Southern ,883 Teradata ,663 Textron ,545 Time Warner Cable ,428 Tyco International ,039 United Parcel Service class B shares ,959 Varian Medical Systems ,545 VeriSign ,495 Vertex Pharmaceuticals ,056 Viacom New class B non-voting shares ,213 Yum! Brands , Canadian Dollar Denominated Fixed Rate Government Bonds 1.65% CA$855,000 Canada (Government) 2.25% Debentures 1/6/ CA$5,500,000 Canada (Government) 2.35% Bonds 15/12/2018 3, CA$10,000 Canada (Government) 3.5% Debentures 1/12/ , US Dollar Denominated Fixed Rate Corporate Bonds 18.53% $750,000 AbbVie 1.75% Senior Bonds 6/11/ $865,000 AbbVie 1.8% Bonds 14/5/ $225,000 AbbVie 2.5% Notes 14/5/ $200,000 Abu Dhabi National Energy 4.125% Senior European Medium Term Notes 13/3/ $75,000 ACE 3.35% Bonds 3/5/ $100,000 Actavis Funding 4.75% Bonds 15/3/ $950,000 Actavis Funding SCS 1.3% Bonds 15/6/ $77,000 Allergan 5.75% Senior Notes 1/4/ $650,000 America Movil 5.625% Notes 15/11/ $75,000 Anadarko Petroleum 6.375% Guaranteed Senior Notes 15/9/ $320,000 Anheuser-Busch InBev Finance 2.65% Bonds 1/2/ $400,000 Anheuser-Busch InBev Finance 3.65% Bonds 1/2/ $350,000 Anheuser-Busch InBev Finance 4.9% Bonds 1/2/ $845,000 Apple 0.9% Bonds 12/5/ $750,000 Apple 1% Senior European Medium Term Notes 3/5/ Holding or Market % of Nominal Value Total Net Value Investment Assets $65,000 Apple 3.25% Senior Notes 23/2/ $85,000 Apple 4.65% Senior Notes 23/2/ $365,000 AvalonBay Communities 3.45% Bonds 1/6/ $505,000 Aviation Capital 2.875% Bonds 17/9/ $520,000 Bank of America 2.05% Medium Term Notes 7/12/ $1,710,000 Bank of America 5.75% Senior Notes 1/12/2017 1, $620,000 Bank of China 2.125% European Medium Term Notes 30/6/ $200,000 Barclays 4.375% Bonds 12/1/ $8,000 Barrick Gold 4.1% Senior Notes 1/5/ $200,000 BHP Billiton Finance 6.25% Bonds 19/10/ $12,000 BHP Billiton Finance USA 5% Guaranteed Bonds 30/9/ $1,000,000 Boston Scientific 6% Senior Bonds 15/1/ $1,110,000 Capital One 1.5% Bonds 5/9/ $505,000 Capital One 2.35% Bonds 17/8/ $70,000 Capital One Financial 4.2% Bonds 29/10/ $750,000 CCO Safari II 3.579% Bonds 23/7/ $150,000 CCO Safari II 4.908% Bonds 23/7/ $75,000 CCO Safari II 6.484% Bonds 23/10/ $500,000 Credit Suisse Funding Guernsey 3.125% Bonds 10/12/ $330,000 Crown Castle 4.5% Senior Notes 15/2/ $120,000 Crown Castle GS III 2.381% Senior Notes 15/12/ $1,390,000 CVS Health 1.9% Bonds 20/7/2018 1, $500,000 CVS Health 2.8% Bonds 20/7/ $85,000 Danaher 4.375% Bonds 15/9/ $500,000 Discover Bank 3.1% Bonds 4/6/ $1,750,000 Discovery Communications 5.05% Guaranteed Notes 1/6/2020 1, $500,000 Duke Energy 2.1% Senior Notes 15/6/ $165,000 Duke Energy Progress 3.25% Bonds 15/8/ $500,000 Energy Transfer Partners 2.5% Bonds 15/6/ $65,000 FedEx 4.75% Bonds 15/11/ $70,000 Fidelity National Information Services 3.5% Bonds 15/4/ $90,000 Fidelity National Information Services 4.5% Bonds 15/10/ $220,000 Fidelity National Information Services 5% Bonds 15/10/ $130,000 Forest Laboratories 5% Senior Notes 15/12/ $205,000 Gazprom 8.146% Senior Bonds 11/4/ BlackRock Investment Funds 32

18 Portfolio Statement continued Holding or Market % of Nominal Value Total Net Value Investment Assets $110,000 Gazprom Via Gaz Capital 6.212% Senior European Medium Term Notes 22/11/ $77,000 General Motors 6.25% Senior Notes 2/10/ $1,441,000 General Motors Financial 3% Bonds 25/9/2017 1, $1,500,000 Gilead Sciences 1.85% Bonds 4/9/2018 1, $177,000 Gilead Sciences 3.65% Bonds 1/3/ $42,000 Gilead Sciences 4.75% Bonds 1/3/ $40,000 Goldman Sachs 4.75% Bonds 21/10/ $25,000 Halliburton 5% Bonds 15/11/ $50,000 Host Hotels & Resorts 4% Bonds 15/6/ $200,000 HSBC 4.25% Bonds 18/8/ $310,000 ICICI Bank Dubai 4.75% Senior European Medium Term Notes 25/11/ $529,000 Interpublic 2.25% Senior Notes 15/11/ $369,000 Interpublic 3.75% Guaranteed Senior Bonds 15/2/ $200,000 Intesa Sanpaolo 5.71% Subordinate Notes 15/1/ $120,000 Jabil Circuit 7.75% Guaranteed Senior Notes 15/7/ $225,000 John Deere Capital 2.375% Medium Term Notes 14/7/ $300,000 JP Morgan Chase 1.35% Senior Notes 15/2/ $550,000 JP Morgan Chase 2.75% Bonds 23/6/ $135,000 JP Morgan Chase 4.25% Subordinate Notes 1/10/ $525,000 Kinder Morgan 2% Bonds 1/12/ $398,000 L-3 Communications 1.5% Bonds 28/5/ $170,000 Life Technologies 5% Bonds 15/1/ $190,000 Lockheed Martin 3.55% Bonds 15/1/ $100,000 Lockheed Martin 3.8% Bonds 1/3/ $290,000 Lowe s 3.875% Senior Notes 15/9/ $300,000 Medtronic 3.5% Bonds 15/3/ $100,000 Medtronic 4.625% Bonds 15/3/ $200,000 MMC Norilsk Nickel 6.625% Bonds 14/10/ $300,000 Morgan Stanley 2.8% Bonds 16/6/ $325,000 Morgan Stanley 3.875% Bonds 27/1/ $440,000 NBC Universal Media 2.875% Notes 1/4/ $750,000 NBCUniversal Enterprise 1.662% Guaranteed Notes 15/4/ $500,000 NBCUniversal Enterprise 1.974% Guaranteed Bonds 15/4/ $265,000 Nordea Bank 2.5% Bonds 17/9/ $100,000 Novartis Capital 4% Bonds 20/11/ $400,000 Penske Truck Leasing 3.3% Bonds 1/4/ $300,000 Penske Truck Leasing Finance 3.05% Bonds 9/1/ Holding or Market % of Nominal Value Total Net Value Investment Assets $1,000,000 Penske Truck Leasing Finance 3.75% Senior Notes 11/5/ $860,000 Petrobras Global Finance 3.25% Guaranteed Notes 17/3/ $180,000 Petrobras Global Finance 6.85% Bonds 5/6/ $450,000 Petrobras International Finance 3.5% Notes 6/2/ $750,000 Petroleos Mexicano 5.5% Medium Term Notes 4/2/ $849,000 Petroleos Mexicano 6.875% Senior Medium Term Notes 4/8/ $910,000 Phillips % Guaranteed Notes 1/5/ $175,000 Procter & Gamble 2.7% GTD Senior Notes 2/2/ $250,000 Reliance Industries 4.125% Bonds 28/1/ $835,000 Reynolds American 2.3% Bonds 12/6/ $20,000 Reynolds American 4.85% Guaranteed Bonds 15/9/ $620,000 Reynolds American 6.75% Guaranteed Notes 15/6/ $20,000 Reynolds American 7% Bonds 4/8/ $200,000 Rosneft Oil via Rosneft International Finance 3.149% Senior Notes 6/3/ $115,000 Santander 2.875% Bonds 16/10/ $190,000 Santander 3.125% Senior Notes 8/1/ $1,360,000 Santander USA 4.625% Bonds 19/4/ $1,000,000 Shell International Finance 1.25% Bonds 10/11/ $375,000 Sinopec 2.5% Notes 28/4/ $200,000 Slovenia (Republic) 5.25% Bonds 18/2/ $430,000 Slovenia (Republic) 5.85% Bonds 10/5/ $840,000 Société Générale 2.75% Bonds 12/10/ $415,000 State Street 3.55% Bonds 18/8/ $200,000 Svenska Handelsbanken 5.25% Perpetual Subordinated Floating Rate Notes $360,000 Synchrony Financial 2.6% Bonds 15/1/ $215,000 The Korea Development Bank 2.25% Notes 18/5/ $2,120,000 Turkey (Government) 7.5% Senior Notes 14/7/2017 1, $680,000 UBS 1.375% Bonds 1/6/ $200,000 UBS 6.875% Perpetual Bonds $200,000 UBS Funding Jersey 2.95% Bonds 24/9/ $750,000 Verizon Communications 1.35% Senior Notes 9/6/ $1,115,000 Verizon Communications 2.625% Medium Term Notes 21/2/ $310,000 Visa 2.2% Bonds 14/12/ $310,000 Visa 3.15% Bonds 14/12/ $195,000 Visa 4.3% Bonds 14/12/ $510,000 Wal-Mart Stores 1% Senior Notes 21/4/ BlackRock Investment Funds 34

19 Portfolio Statement continued Holding or Market % of Nominal Value Total Net Value Investment Assets $480,000 Wells Fargo 2.5% Senior Notes 4/3/ $225,000 Wells Fargo 2.55% Medium Term Notes 7/12/ $300,000 Wells Fargo 2.6% Bonds 22/7/ $210,000 Wells Fargo 3% Bonds 19/2/ $200,000 Woori 2.625% Bonds 22/7/ , US Dollar Denominated Fixed Rate Government Bonds 2.42% $580,000 Indonesia (Government) 5.95% European Medium Term Notes 8/1/ $600,000 Slovenia (Republic) 5.5% Bonds 26/10/ $4,550,000 US Treasury 1.625% Notes 31/8/2019 3, $280,000 US Treasury 2.125% Notes 15/5/ $894,700 US Treasury 3.125% Notes 15/8/ , US Dollar Denominated Variable Rate Corporate Bonds 2.85% $750,000 Actavis Funding 1.85% Floating Rate Bonds 1/3/ $500,000 American Tower 3.4% Floating Rate Bonds 15/2/ $995,000 Chevron 1.344% Floating Rate Bonds 9/11/ $75,000 Enterprise Products 8.375% Floating Rate Notes 1/8/ $1,010,000 Goldman Sachs 6.25% Floating Rate Senior Notes 1/9/ $850,000 Intesa Sanpaolo 2.375% Floating Rate Bonds 13/1/ $2,010,000 Morgan Stanley 4.75% Floating Rate Senior Notes 22/3/2017 1, $1,000,000 TransCanada PipeLines 1.625% Floating Rate Bonds 9/11/ $1,000,000 Visa 1.2% Floating Rate Bonds 14/12/ $96,453 Warwick 2.088% Floating Rate Notes 21/9/ $50,000 Wells Fargo 5.9% Perpetual Subordinated Floating Rate Notes SOUTH AFRICA 0.07% BONDS 0.07% 6, South African Rand Fixed Rate Corporate Bonds 0.07% ZAR 5,080,000 South Africa (Government) 6.25% Bonds 31/3/ INVESTMENT FUNDS 8.07% Alternative 8.07% 392,799 Better Capital ,600 ishares STOXX Europe 600 Real Estate UCITS ETF* 7, ,650 Source Physical Gold P-ETC 9, , Holding or Underlying Market % of Nominal Exposure Derivatives Value Total Net Value Investment Assets DERIVATIVES (3.45)% Credit Default Swaps (0.01)% 118,173 Barclays Bank (Abu Dhabi (Emirate Of)) 1% 20/12/2020 (98) (100,000) Barclays Bank (Glencore International) 1% 20/9/ (17) (0.01) 65,000 JP Morgan Chase Bank (Abu Dhabi (Emirate Of)) 1% 20/12/2020^ (54) 0.00 (74) (16) (0.01) Forward Currency Contracts (1.28)% BRL 14,612,550 Brazilian real vs US dollar (33) (33) (0.02) CNY 34,416,900 Chinese yuan vs US dollar (156) (156) (0.07) CZK 78,365,061 Czech koruna vs Euro (3) (3) ,350,000 Euro vs Japanese yen (49) (49) (0.02) 5,560,000 Euro vs Polish zloty (90) (90) (0.04) 1,350,000 Euro vs Swiss franc (13) (13) (0.01) 3,230,000 Euro vs UK sterling 2, ,994,166 Euro vs US dollar INR 54,555,000 Indian rupee vs US dollar (4) (4) ,296,825 Japanese yen vs US dollar KRW 6,561,524,000 Korean won vs US dollar (38) (38) (0.02) MYR 13,023,488 Malaysian ringgit vs US dollar (8) (8) 0.00 MXN 117,489,153 Mexican peso vs US dollar PHP 438,526,000 Philippine peso vs US dollar PLN 12,675,129 Polish zloty vs Euro ZAR 12,562,479 South African rand vs UK sterling 560 (1) 0.00 ZAR 19,065,000 South African rand vs US dollar (26) (26) (0.01) SEK 10,585,000 Swedish krona vs US dollar (15) (15) (0.01) TWD 163,027,900 Taiwan dollar vs US dollar (12) (12) (0.01) 688,140 UK sterling vs Australian dollar (713) (25) (0.01) 3,381,235 UK sterling vs Canadian dollar (3,595) (214) (0.10) 576,947 UK sterling vs Danish krone (594) (17) (0.01) 42,232,574 UK sterling vs Euro (43,068) (1,267) (0.59) 1,794,412 UK sterling vs South African rand (1,897) (103) (0.05) 77,410,279 UK sterling vs US dollar (79,497) (2,087) (0.97) $6,660,000 US dollar vs Brazilian real (188) (188) (0.09) $8,200,000 US dollar vs Chinese yuan renminbi $2,136,353 US dollar vs Danish krone (37) (37) (0.02) $11,543,653 US dollar vs Euro $11,650,000 US dollar vs Japanese yen $10,345,000 US dollar vs Korean won BlackRock Investment Funds 36

20 Portfolio Statement continued Holding or Underlying Market % of Nominal Exposure Derivatives Value Total Net Value Investment Assets $3,100,000 US dollar vs Malaysian ringgit $257,879 US dollar vs Mexican peso (10) (10) 0.00 $5,225,000 US dollar vs New Turkish lira (82) (82) (0.04) $8,506,686 US dollar vs Singapore dollar (94) (94) (0.04) $907,291 US dollar vs South African rand $315,721 US dollar vs Swedish krona $12,800,000 US dollar vs Swiss franc (117) (117) (0.05) $9,900,000 US dollar vs Taiwan dollar (13) (13) (0.01) $29,978,425 US dollar vs UK sterling 21, (105,065) (2,775) (1.28) Futures (1.36)% (92) 90 Day Sterling December 2016 (46,000) (65) (0.03) 136 Australia 10 year Bond March , Bank Accept December , (2,415) BIST 30 April 2016 (5,426) (44) (0.02) (7) Canada 10 year Bond June 2016 (412) (58) DAX Mini March 2016 (2,145) (50) (0.02) 96 E-Mini Financial Select Sector March ,676 (468) (0.22) (1) Euro Buxl 30 Year Bond March 2016 (148) (6) 0.00 (148) Euro Stoxx 50 March 2016 (3,389) (106) (0.05) (10) Euro-Bobl March 2016 (805) (8) 0.00 (5) Euro-BTP March 2016 (512) (6) 0.00 (63) Euro-Bund March 2016 (5,139) (336) (0.16) 24 Euro-Schatz March , FTSE 100 Index March , (213) FTSE 250 Index March 2016 (7,019) (46) (0.02) 675 FTSE China A50 March ,261 (108) (0.05) (115) H Shares Index March 2016 (4,283) (60) (0.03) (30) Long Gilt June 2016 (3,970) (1) MDAX Index March ,909 (347) (0.16) (132) Mini MSCI Emerging Markets March 2016 (3,529) (60) (0.03) (42) Nikkei 225 (SGX) March 2016 (2,154) (17) (0.01) (105) S&P 500 E-Mini March 2016 (7,350) (300) (0.14) 123 S&P 500 E-Mini Consumer Staples March , (131) S&P 500 E-Mini Utilities March 2016 (4,391) (26) (0.01) (43) S&P/TSX 60 Index March 2016 (3,430) (16) (0.01) (4) Short Euro-BTP March 2016^ (336) 0.00 (186) Stoxx 600 Automobiles & Parts March 2016 (3,416) (330) (0.15) (225) Stoxx 600 Basic Resources March 2016 (2,198) (150) (0.07) (135) Stoxx 600 Food and Beverage March 2016 (3,216) Stoxx 600 Healthcare March ,855 (608) (0.28) Holding or Underlying Market % of Nominal Exposure Derivatives Value Total Net Value Investment Assets 217 Stoxx Euro LRG March ,857 (200) (0.09) (568) Stoxx Euro Small March 2016 (5,289) (20) (0.01) (26) US 10 Year Note (CBT) June 2016 (1,941) US 2 Year Note (CBT) June ,411 (2) 0.00 (12) US 5 Year Note (CBT) June 2016 (868) US Long Bond (CBT) June 2016^ US Ultra Bond (CBT) June ,461 (93) (0.04) (44,498) (2,930) (1.36) Options (0.04)% 2,715,000 Bank of America(Chinese Yuan Put US Dollar Call 9/3/ ) (2,715,000) Bank of America(Chinese Yuan Put US Dollar Call 9/3/ )^ ,600,000 Bank of America(Japanese Yen Put US Dollar Call 19/4/ ) (13,600,000) Bank of America(Japanese Yen Put US Dollar Call 19/4/ ) (123) (6) ,300,000 Bank of America(SPX CMS Put 18/3/ )^ ,383 CBOE SPX Volatility Index Call 16/3/ (2,766) CBOE SPX Volatility Index Call 16/3/ (504) (50) (0.02) 5,450,000 Citi Bank (Chinese Yuan Put US Dollar Call 9/3/ ) 1, (5,450,000) Citi Bank (Chinese Yuan Put US Dollar Call 9/3/ ) (1) ,055,000 Citi Bank (Euro Put Czech Koruna Call 10/8/ ) ,200,000 Citi Bank (Singapore Dollar Put US Dollar Call 12/5/ ) 3, (12,200,000) Citi Bank (Singapore Dollar Put US Dollar Call 12/5/ ) (2,142) (49) (0.02) 1,517 Euro Put 15/4/ (142,735) (281) Euro Stoxx 50 Call 15/4/ (1,738) (77) (0.04) 844 Euro Stoxx 50 Call 17/6/ , (844) Euro Stoxx 50 Call 17/6/ (3,713) (216) (0.10) (250) Euro Stoxx 50 Call 18/3/ ^ (33) Euro Stoxx 50 Call 15/12/ (165) Euro Stoxx 50 Put 17/6/ ,121 (307) (0.14) 2,948 Euro Stoxx Banks Call 17/6/ , (2,948) Euro Stoxx Banks Call 17/6/ (2,170) (145) (0.07) (230) Euro Stoxx Utilities Put 18/3/ ,373 (80) (0.04) (192) FTSE 100 Put 18/3/ ,594 (52) (0.02) 37 BlackRock Investment Funds 38